IDEAS home Printed from https://ideas.repec.org/a/spr/mathme/v61y2005i3p419-435.html
   My bibliography  Save this article

A preference change and discretionary stopping in a consumption and porfolio selection problem

Author

Listed:
  • Kyoung Jin Choi
  • Hyeng Keun Koo

Abstract

We study an optimal consumption-portfolio selection problem in which an economic agent is able to choose a discretionary stopping time in a continuous-time framework. We focus on studying the problem for the case where the agent’s preference changes around the stopping time. We obtain the optimal policy in an explicit form by solving free boundary value problems. If the agent’s coefficient of relative risk aversion becomes higher (lower) after the stopping time, then the optimal policy is to stop as soon as the wealth level touches down (up) to the critical wealth level. Copyright Springer-Verlag 2005

Suggested Citation

  • Kyoung Jin Choi & Hyeng Keun Koo, 2005. "A preference change and discretionary stopping in a consumption and porfolio selection problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 61(3), pages 419-435, July.
    • Handle: RePEc:spr:mathme:v:61:y:2005:i:3:p:419-435
    DOI: 10.1007/s001860400391
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s001860400391
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s001860400391?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Guohui Guan & Qitao Huang & Zongxia Liang & Fengyi Yuan, 2020. "Retirement decision with addictive habit persistence in a jump diffusion market," Papers 2011.10166, arXiv.org, revised Feb 2024.
    2. Kwak, Minsuk & Shin, Yong Hyun & Choi, U Jin, 2011. "Optimal investment and consumption decision of a family with life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 176-188, March.
    3. Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin, 2008. "Optimal Portfolio, Consumption‐Leisure And Retirement Choice Problem With Ces Utility," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 445-472, July.
    4. Bayraktar, Erhan & Yao, Song, 2017. "Optimal stopping with random maturity under nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2586-2629.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mathme:v:61:y:2005:i:3:p:419-435. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.